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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
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A joint likelihood approach to the analysis of length of stay data utilising the continuous-time hidden Markov model and Coxian phase-type distribution
Mitchell, Hannah J.; Marshall, Adele H.; Zenga, Mariangela - In: Journal of the Operational Research Society 72 (2021) 11, pp. 2529-2541
Persistent link: https://www.econbiz.de/10012697340
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
Hambuckers, J.; Kneib, Thomas; Langrock, Roland; … - In: Quantitative finance 18 (2018) 10, pp. 1679-1698
Persistent link: https://www.econbiz.de/10012259864
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High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha; Shin, Minchul; Tan, Fei - 2020
Persistent link: https://www.econbiz.de/10012373015
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Incorporating realized quarticity into a realized stochastic volatility model
Nugroho, Didit B.; Morimoto, Takayuki - In: Asia-Pacific financial markets 26 (2019) 4, pp. 495-528
Persistent link: https://www.econbiz.de/10012309817
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Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution
Takahashi, Makoto; Watanabe, Toshiaki; Omori, Yasuhiro - In: International journal of forecasting 32 (2016) 2, pp. 437-457
Persistent link: https://www.econbiz.de/10011597142
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Hidden semi-Markov models for rainfall-related insurance claims
Shi, Yue; Punzo, Antonio; Otneim, Håkon; Maruotti, … - 2023
Persistent link: https://www.econbiz.de/10014431361
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2023
Persistent link: https://www.econbiz.de/10014448099
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A latent-factor-driven endogenous regime-switching non-Gaussian model : evidence from simulation and application
Bu, Ruijun; Cheng, Jie; Jawadi, Fredj - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 3881-3896
Persistent link: https://www.econbiz.de/10013461280